The secrets behind my best strategy for VIX - VIXTrader

d08 said:
I'd say within a year. No-one has the ability to see the future but you should definitely test it on data from 2008, you can generate synthetic data based on the VIX index even if you don't have real trade data available - it will be a good enough approximation.
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The system needs data like tick and 1 minute which is unable to calculate for the VXX..
 
RobinsonG said:
According to the back test and to my long experience, I expect to see bigger DD and better performance..
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So if VIX goes to 20 overnight, first you post a massive drawdown and then, since the vol is higher you make better returns on capital?
 
Kevin Schmit said:
FWIW, there have been some fairly large VIX spikes over the last two years:

SDate Close prevClose absChange
===== ===== ========= =========
20160624, 25.76, 17.25, .401010758
20170517, 15.59, 10.65, .381069791
20170810, 16.04, 11.11, .367239999
20160909, 17.5, 12.51, .335672556
20170424, 10.84, 14.63, .299831219
20170817, 15.55, 11.74, .281058824
20161109, 14.38, 18.74, .264821925
20160628, 18.75, 23.85, .240590465
20170814, 12.33, 15.51, .22944966
20160613, 20.97, 17.03, .20811635

Also, the $6 million traded on these strats likely
refers to the notional traded by his C2 subcribers.

I don't see any secrets in the RobinsonG's posts
so far. The real secret is that his income comes
from C2 subscription fees and that his original
post is a thinly disguised advert for his C2 systems.

Query that generated the figures above:

SELECT SDate,Close,
LAG(close,1) IGNORE NULLS OVER (ORDER BY SDate) AS prevClose,
abs(ln(Close/LAG(Close,1) IGNORE NULLS OVER (ORDER BY SDate))) AS absChange
FROM Indices WHERE SDate > '20151020' AND Symbol = 'VIX' AND Source = 'BDHIX'
ORDER BY absChange DESC FETCH FIRST 10 ROWS ONLY;
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sle said:
So if VIX goes to 20 overnight, first you post a massive drawdown and then, since the vol is higher you make better returns on capital?
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100%? Never happened before..Maybe only Kim can bring this number :)
The max was 32% in 6.24.2016.. The system made 7% at that day :)
 
Why?
Did you see all the live trades?
Did you see how it takes Long volatility when the VIX is jumping?
How can you say something like that before you trade it or at least check it?
Do you aware to the protection strategies?
Well, did you or you only speaking from your feelings? :)

This business is not influenced by feeling at all. The door of these strategies is open for the statistics and mathematics only...:thumbsup:
 
I have a model E-mini S&P 500 Futures model that has four states

Buy - Long Trend
Sell - Short Chop
Buy - Long Chop
Sell - Short Tend

The model has switches to trade any combination of the four states or all of them at the same time. Each state makes money on its own with about 1% drawdown total with 26% return on capital. Makes about 1.79% a month and is in positions from 5 - 10 days.

Rather than trade the system outright, I thought maybe use this model to sell call options and just automatically let it hedge the positions by using Buy - Long Trend and Buy - Long Chop states.

I guess you might could also use it for puts if you wanted to. So better the trade the futures or use the model as a defense mechanism for option writing?

Mark

PS the model uses a unique data series made up of 8 point bar ranges. Time is thrown out the window, a new bar is only formed when the previous bar's range is exceeded.
 
Why would I test your strategy over a different window to prove your hypothesis? Wouldn't you wanna do that? I was only bringing up a concern . If it doesn't apply let it fly
 
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